"Historical simulation method": In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution. This is conceptually the simplest alternative method to the delta-normal. There is no assumption about how markets operate. For any given portfolio held today, you calculate repeatedly its hypothetical value change as if it had been held for a one day period in the past, using the relevant market price changes and other market rate changes for each successive day. At each step, you do a full valuation and calculate the ex-post or historical value changes over one day. Finally, tabulate the empirical distribution of one-day value changes and identify the lower 95% point. This point is the one-day 95% VaR.